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ScenarioSM Study for March Cotton(ICE) as of Sep 16, 2022 | ||||||||||||
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Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | 45 | |
Closed Higher | 27 | 19 | 23 | 20 | 20 | 17 | 27 | 22 | 32 | 23 | 25 | |
Exceeded High | 20 | 15 | 17 | 17 | 13 | 14 | 19 | 18 | 28 | 17 | 16 | |
Scenario Percentage | 74% | 79% | 74% | 85% | 65% | 82% | 70% | 82% | 88% | 74% | 64% | |
Avg Max Increase | 5.97% | 8.38% | 8.64% | 8.81% | 15.68% | 12.64% | 8.54% | 10.76% | 10.82% | 8.53% | 4.87% | |
Max Increase | 20.21% | 20.37% | 28.56% | 43.20% | 47.88% | 51.25% | 32.10% | 25.12% | 45.72% | 34.77% | 16.96% | |
Avg Days To Max Increase | 18 | 16 | 18 | 19 | 17 | 19 | 19 | 21 | 17 | 9 | 5 | |
Avg Max Decline | -2.53% | -2.76% | -1.86% | -1.99% | -2.02% | -2.16% | -1.75% | -2.33% | -2.75% | -2.99% | -0.46% | |
Max Decline | -9.75% | -8.56% | -10.52% | -6.21% | -5.29% | -5.87% | -7.74% | -6.83% | -11.97% | -7.71% | -7.38% | |
Avg Days to Max Decline | 14 | 5 | 9 | 9 | 6 | 7 | 8 | 7 | 11 | 8 | 1 | |
2022 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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